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András Bohák

András Bohák
Executive Director, Risk Management and Liquidity Core Research

About the Contributor

Andras Bohak is an Executive Director and Head of Risk Management and Liquidity Core Research, based in Budapest. He is responsible for liquidity and counterparty credit risk research as well as derivative-related regulation. Mr. Bohak led development of MSCI’s multi-asset class liquidity framework from inception. Mr. Bohak joined MSCI in 2012 and worked in the securitized products research team before transferring to the risk and regulation research team in 2013. Prior to joining MSCI, Mr. Bohak was a lecturer at the Budapest University of Technology and Economics, where he is still teaching Advanced Investments for finance majors. Mr. Bohak holds a degree in Computer Science and Industrial Engineering and Management, both from the Budapest University of Technology and Economics.

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Contributions by András Bohák

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  1. BLOG

    Could Investment Grade Be as Risky as High Yield? 

    Apr 16, 2021 András Bohák , Andras Rokob

    Fixed Income , Risk Management

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    Do high-yield and investment-grade bonds carry the same level of risk? For investors using common measures like value-at-risk models, IG- and HY-bond portfolios’ risk levels appear to have converged. But traditional models may miss important aspects of HY risk.

  2. This is the second in a series of research papers proposing MSCI’s best practices for fund liquidity risk management. Here we propose best practices for liquidity stress testing at funds, drawing on guidelines from the European Securities and Markets Authority for undertakings for the collective investment in transferable securities (UCITS) and alternative investment funds. When designing market stress tests, we create both historical and hypothetical scenarios. Both cover at least three levels of severity from moderate to extreme.

    Access our research paper Liquidity Risk Management for Funds Part 1: Dilution Effects for more insights, and refer to a wide range of regulatory risk solutions including upcoming ESMA stress testing guidelines.

  3. This is the first in a series of research papers proposing MSCI best practices for fund liquidity risk management. These practices were developed over the past years in collaboration with asset-management firms that have adopted MSCI’s liquidity risk management tools. The objectives of this study are as follows: to draw a synthesis from the progress generated in the field of fund liquidity risk management and address fund liquidity risk management through a systematic formulation of the problem and adoption of the best tools currently available.

    Access our research paper Liquidity Risk Management for Funds Part 2: Best Practices for Stress Testing for more insights, and refer to a wide range of regulatory risk solutions including upcoming ESMA stress testing guidelines.

  4. BLOG

    Bond ETFs and underlying price uncertainty 

    Apr 8, 2020 Reka Janosik , András Bohák

    Risk Management , Fixed Income

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    In the recent market meltdown, some fixed-income ETFs traded at discounts as high as 6% to net asset values, a level not seen since 2008. Could ETF prices deviate from the value of the underlying portfolio during market stress and leave investors exposed to losses on top of the falling bond prices?

  5. BLOG

    Lessons from Woodford: Shutting the barn door after the horses have bolted 

    Jun 14, 2019 Dimitris Melas , András Bohák , Roman Kouzmenko

    Factor Investing , Factors

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    The suspension of the U.K.’s Woodford Equity Income Fund highlights the value of regularly reviewing a portfolio’s factor exposures and liquidity characteristics for signs of style drift or deteriorating ability to redeem shares.

  6. BLOG

    From credit crunch to liquidity crunch: managing liquidity 

    Jan 10, 2019 András Bohák

    Models/Client Cases , Fixed Income , Risk Management

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    Volatility of credit spreads in both emerging- and developed-market debt increased significantly in 2018. Large rises in credit spread levels were followed by increased bid-ask spreads, making it expensive to reduce exposure within a short time frame.

  7. PAPER

    Product Insight - Analyzing Credit Alpha in an Integrated Risk and Performance Analysis 

    Oct 30, 2015 András Bohák , Nicholas Sharp , Zsolt Simon

    Factor and Risk Modeling , Investing (Investment Management) , Performance Analysis , Risk Management

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    This Product Insight focuses on fixed income attribution and illustrates how an integrated risk and performance analysis can be carried out with BarraOne, for a corporate bond portfolio invested using a credit value strategy. The effectiveness of the analysis is illustrated in an important "real world" use case, showing how investors can analyze strategies which target the credit alpha coming from exposure to spread risk.

  8. PAPER

    Technical Note - Backtesting Counterparty Credit Risk Models - October 2014 

    Oct 30, 2014 Attila Agod , András Bohák

    Investing (Investment Management) , Risk Management

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    In this Technical Note - following the Basel Committee's recommendations - we present our methodology for backtesting the Counterparty Credit Risk models in MSCI's RiskManager product. We test risk factor simulation models and our margining framework separately by comparing the realized risk factor values and the netted exposures to their forecast distributions at multiple horizons. We use the Cram'r-von Mises test to check if the forecasts were statistically correct during the observation period. In the second part of the document, we discuss the practical questions related to the implementation of the methodology. Finally, we recommend visualization techniques and address the typical challenges in Counterparty Credit Risk backtesting.    

  9. PAPER

    Product Insight - Integrated Fixed Income Risk and Performance Analysis in BarraOne - July 2014 

    Jul 30, 2014 Nicholas Sharp , Zsolt Simon , András Bohák , Attila Agod

    Performance Analysis , Risk Management

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    This paper demonstrates how BarraOne's Performance Analytics, the correlated stress test engine, and the risk forecasting model can all be integrated to support the investment decision process. Using a case study, we follow the decisions of a hypothetical bond portfolio manager before and after the September 17, 2013 FOMC meeting where the Fed decided to delay tapering their bond-buying program. We leverage the MSCI Macroeconomic Model to forecast the outcome of the decision on tapering, then use BarraOne to analyze the corresponding tactical term structure bet with stress tests, and then reconcile the ex-ante risk forecasts with the realized performance, thus providing an integrated fixed income attribution of both risk and return.

  10. PAPER

    Product Insight - Integrated Fixed Income Risk and Performance Analysis in BarraOne - July 2014 

    Jul 30, 2014 András Bohák , Attila Agod , Nicholas Sharp , Zsolt Simon

    Performance Analysis , Risk Management

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    This paper demonstrates how BarraOne's Performance Analytics, the correlated stress test engine, and the risk forecasting model can all be integrated to support the investment decision process. Using a case study, we follow the decisions of a hypothetical bond portfolio manager before and after the September 17, 2013 FOMC meeting where the Fed decided to delay tapering their bond-buying program. We leverage the MSCI Macroeconomic Model to forecast the outcome of the decision on tapering, then use BarraOne to analyze the corresponding tactical term structure bet with stress tests, and then reconcile the ex-ante risk forecasts with the realized performance, thus providing an integrated fixed income attribution of both risk and return.

  11. PAPER

    Technical Note - Introducing the Loan Pool Specific Factor in CreditManager - March 2014 

    Mar 7, 2014 András Bohák , Tamas Matrai , Attila Agod

    Risk Management

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    In the CreditMetrics framework, the value of a pool of loans at the risk horizon is determined by the state of its driving market factors and the idiosyncratic factors of the individual loans.  However, if the loan pool consists of hundreds of loans, most of the risk from idiosyncratic factors is diversified away, leaving the horizon values driven mostly by market factors.  While this behavior is intuitive for standalone pools, it has an undesirable side effect for portfolios containing multiple large loan pools, which differ in some systematic dimension, but remain mapped to the same market factor. In this Technical Note, we present an enhancement to the Loan Pool and Mortgage Pool models in CreditManager that allows users to decorrelate the horizon values of distinct pools driven by the same market factor. We also introduce a Loan Pool Specific Factor that applies only to a single pool of assets and is not correlated to any market factor.

  12. PAPER

    Technical Note - Andrew Davidson Prepayment Model Tuning File Update - April 2013 

    Apr 17, 2013 Miklós Vörös , András Bohák , Attila Agod

    Risk Management , Asset Pricing and Valuation

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    RiskManager uses the Andrew Davidson & Company (AD&Co) VECTORS prepayment model for mortgage-backed securities; MSCI offers the AD&Co recommended model settings, and releases a Technical Note as the recommendations change.  On Thursday, December 6, 2012, MSCI updated the tuning files associated with the residential mortgage-backed security (RMBS) prepayment models in the RiskServer production environment.  This Technical Note summarizes the changes in collateral behavior and risk analytics.

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